The distribution file (i.e. the unmodified source) must exist on your system for the packages system to be able to build it. If it does not, then ftp(1) is used to fetch the distribution files automatically.
You can overwrite some of the major distribution sites to fit to sites that are close to your own. Have a look at /usr/pkgsrc/mk/mk.conf.example to find some examples. This may save some of your bandwidth and time. When you have selected your settings, install your configuration into /etc/mk.conf.
If you don't have a permanent Internet connection and you want to know which files to download, ``make fetch-list'' will give you a shell script that will help you downloading the files. When done, put them into /usr/pkgsrc/distfiles.